In this experiment, we test two different ways to estimate moments from financial data: the empirical sample moment \({M}^d\)  REF  and the low-rank symmetric Tucker approximation to \({M}^d\) .
We evaluate the moments by deriving portfolios based on them and comparing the portfolios' performances, as in [1]}.
We emphasize that, in theory, higher moments of financial data should roughly admit a low-rank symmetric Tucker format, because of the Fama-French model [2]}.
